AAL Options History — February 2021

In February 2021, AAL traded between $16.64 and $21.82. ATM implied volatility averaged 69.8%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 20.0%. IV traded above realized volatility by 9.5% (HV 20d: 60.3%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.41.

Notable Days

2021-02-22: Highest Volume — 524,826 contracts
2021-02-02: Largest IV drop — 13.0% change
2021-02-01: Highest IV Rank — 18.6%
2021-02-01: Largest Expected Move — 22.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.39	$16.64	$21.82	$16.86	$21.07
Max Pain	$16.63	$16.00	$18.00	$16.00	$18.00
ATM IV	69.8%	63.2%	80.9%	80.9%	70.6%
Expected Move	20.0%	18.3%	22.7%	22.7%	19.8%
HV 20d	60.3%	56.5%	66.5%	58.8%	59.9%
HV 60d	57.4%	54.1%	64.7%	64.5%	54.7%
IV Rank	12.0%	3.9%	18.6%	18.6%	3.9%
IV Percentile	15.3%	4.4%	31.7%	31.7%	16.7%
Term Structure	1.4%	-3.5%	13.4%	1.0%	3.1%
VWIV	73.4%	66.0%	87.6%	87.6%	73.5%
Skew 25d	-3.5%	-11.8%	4.0%	-4.4%	1.1%
Skew 10d	-9.5%	-19.7%	-0.8%	-10.1%	-1.5%
Call IV 25d	75.0%	66.7%	90.0%	90.0%	73.7%
Put IV 25d	71.5%	65.0%	85.6%	85.6%	74.8%
Bid-Ask Spread %	4.93	2.31	21.16	4.33	10.31
Gamma HHI	0.10	0.06	0.19	0.06	0.16
Net GEX	10.3M	1.7M	20.2M	3.4M	19.5M
Net DEX	-704.5M	-1.30B	-346.6M	-411.6M	-1.09B
Net VEX	-6.8M	-7.4M	-6.4M	-7.1M	-7.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.23	0.63	0.59	0.52
Total Volume	231,064.316	97,878	524,826	253,733	186,101
Total OI	2,897,441.158	2,472,832	3,086,337	2,913,260	2,733,803

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-02-01	$16.86	$16.00	80.9%	22.7%	58.8%	18.6%	87.6%	-4.4%	1.0%	3.4M	-411.6M	-7.1M	0.59	4.33	159,131	94,602	1,208,126	1,705,134
2021-02-02	$16.64	$16.00	70.4%	18.6%	56.5%	14.3%	74.8%	-4.5%	-3.5%	2.0M	-346.6M	-6.9M	0.43	3.90	116,935	50,504	1,258,734	1,736,928
2021-02-03	$17.62	$16.00	75.0%	20.6%	59.2%	16.1%	75.4%	-2.5%	3.7%	9.0M	-588.4M	-7.1M	0.23	2.81	212,170	49,511	1,282,929	1,745,921
2021-02-04	$17.40	$16.00	67.7%	20.0%	59.6%	13.2%	75.4%	-5.4%	1.5%	9.0M	-544.1M	-6.8M	0.38	3.80	128,852	48,564	1,308,909	1,752,148
2021-02-05	$17.20	$16.00	64.4%	19.2%	59.9%	11.8%	71.5%	4.0%	13.4%	3.7M	-494.7M	-6.5M	0.63	3.18	113,483	71,480	1,327,979	1,758,358
2021-02-08	$17.79	$16.00	66.0%	19.6%	60.0%	12.4%	71.5%	-4.9%	2.0%	7.9M	-614.9M	-6.6M	0.32	2.60	180,355	57,949	1,195,897	1,688,639
2021-02-09	$17.44	$16.00	63.2%	18.6%	60.2%	11.3%	68.1%	-3.7%	1.5%	7.0M	-553.8M	-6.5M	0.43	2.85	81,839	34,846	1,245,605	1,696,734
2021-02-10	$17.40	$16.00	65.5%	19.3%	59.7%	12.2%	71.3%	-3.1%	1.6%	7.4M	-557.6M	-6.6M	0.52	2.51	64,237	33,641	1,272,264	1,705,304
2021-02-11	$16.88	$16.00	65.2%	19.2%	61.1%	12.1%	70.2%	-1.2%	1.2%	1.7M	-408.4M	-6.5M	0.61	2.61	111,857	68,457	1,282,109	1,717,623
2021-02-12	$17.20	$17.00	64.2%	18.8%	58.3%	11.6%	67.9%	-2.7%	2.3%	4.3M	-507.3M	-6.6M	0.36	6.12	101,973	37,156	1,311,055	1,732,048
2021-02-16	$17.80	$17.00	68.2%	19.7%	57.3%	13.2%	71.0%	-3.1%	1.2%	10.2M	-666.5M	-6.4M	0.28	21.16	101,666	28,017	1,226,309	1,701,454
2021-02-17	$17.95	$17.00	68.6%	19.7%	57.2%	13.4%	70.5%	-2.6%	0.8%	15.1M	-707.7M	-6.6M	0.33	4.45	154,989	51,863	1,264,446	1,709,211
2021-02-18	$17.71	$17.00	63.9%	18.3%	57.6%	11.5%	66.0%	-2.1%	0.2%	15.6M	-637.0M	-6.5M	0.40	6.96	92,263	37,304	1,294,348	1,729,262
2021-02-19	$18.70	$17.00	69.3%	20.0%	59.4%	13.7%	71.3%	-3.7%	-0.9%	9.9M	-920.0M	-6.6M	0.31	3.01	249,862	78,177	1,309,836	1,743,128
2021-02-22	$20.45	$17.00	72.8%	20.8%	65.7%	13.9%	75.1%	-7.8%	0.6%	14.8M	-972.1M	-6.9M	0.30	4.57	405,099	119,727	1,055,289	1,417,543
2021-02-23	$20.88	$17.00	76.4%	21.5%	64.3%	11.7%	76.2%	-6.3%	-1.6%	18.7M	-1.07B	-7.2M	0.34	2.83	232,348	79,675	1,129,480	1,457,393
2021-02-24	$21.82	$17.00	76.4%	21.4%	64.8%	6.6%	78.0%	-11.8%	-1.1%	20.2M	-1.30B	-7.4M	0.29	2.31	385,122	112,182	1,170,557	1,469,648
2021-02-25	$20.66	$18.00	76.9%	21.8%	66.5%	6.8%	78.9%	-1.7%	-0.2%	16.5M	-986.3M	-7.3M	0.52	3.43	169,844	88,441	1,196,652	1,510,579
2021-02-26	$21.07	$18.00	70.6%	19.8%	59.9%	3.9%	73.5%	1.1%	3.1%	19.5M	-1.09B	-7.1M	0.52	10.31	122,407	63,694	1,215,121	1,518,682